Support Recovery for the Drift Coefficient of High-Dimensional Diffusions

DOI10.1109/TIT.2014.2317178MaRDI QIDQ2986274zbMATH OpenFDO

Authors José Bento Ayres Periera, Morteza Ibrahimi

Publication date 16 May 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Diffusion processes (60J60)

Cited in

(3)

• On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
• The Dantzig selector for a linear model of diffusion processes
• Support Recovery for the Drift Coefficient of High-Dimensional Diffusions

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